Expected Loss and Microprudential: Difference between pages

From ACT Wiki
(Difference between pages)
Jump to navigationJump to search
imported>Doug Williamson
(Create the page to replace Expected loss page.)
 
imported>Doug Williamson
(Classify page.)
 
Line 1: Line 1:
''Credit risk evaluation - banking.''
''Bank regulation''.


(EL).
The part of the regulatory framework which is designed to enhance the safety and soundness of individual financial institutions, rather than the financial system as a whole.


Expected Loss is a regulatory calculation of the amount expected to be lost on a credit risk exposure within a 12-month timeframe.


It is calculated as:
== See also ==
* [[Bank supervision]]
* [[Capital adequacy]]
* [[Macroprudential]]


EL = PD x EAD x LGD
[[Category:Accounting,_tax_and_regulation]]
 
[[Category:The_business_context]]
 
Where:
 
EL = expected loss
 
PD = probability of default %
 
EAD = exposure at default
 
LGD = loss given default %
 
 
==See also==
*[[Capital adequacy]]
*[[Default]]
*[[Exposure At Default]]
*[[Loss Given Default]]
*[[Probability of Default]]

Latest revision as of 07:33, 29 June 2022

Bank regulation.

The part of the regulatory framework which is designed to enhance the safety and soundness of individual financial institutions, rather than the financial system as a whole.


See also